skipped dates

[upani]

Hi,

I am using irregular data.I want to know how to read Irregular data so that i can use lags. I want to use Financial Time Series data for estimating cointegration and volatility spillover effect.

In chapter 2 of Intrduction ( RATS 8.3), It says i can not use lags if i am reading irregular data using calendar function.

With sincere regard,
Upananda

[TomDoan]

You're misinterpreting what it's saying:

If you really want to skip the holidays without having gaps in your data (in the sense
that you want to treat the data for November 22 and November 24 as adjoining
entries), you cannot treat the data set as “Daily” because rats insists that daily data
be five days a week. If you use CALENDAR(IRREGULAR), RATS will ignore the dates
on the data file and read the data from the file into consecutive entries. There is little
difference between the two ways of handling the holidays, unless you do some type of
time-series analysis that uses lags or leads.

In other words, you want to treat it as irregular. It's if you treat it as daily (meaning five full days a week) data that you run into problems with lags.

[upani]

Dear Sir,

Thanks a lot for your reply. I got confused for

There is little
difference between the two ways of handling the holidays, unless you do some type of
time-series analysis that uses lags or leads.

. I thought it is otherwise.

I am sorry for the confusion. If i read the data as irregular, then can i use lags in my data set.

With sincere regards,
Upananda